init
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195
ent/max_chg.go
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195
ent/max_chg.go
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package ent
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import (
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"fmt"
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"github.com/banbox/banbot/biz"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/config"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm"
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"github.com/banbox/banbot/utils"
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"github.com/banbox/banexg"
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"github.com/banbox/banexg/errs"
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utils2 "github.com/banbox/banexg/utils"
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"github.com/banbox/banstagy/com"
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"github.com/banbox/banta"
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"math"
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"path/filepath"
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"sort"
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"strconv"
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)
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type chgSta struct {
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env *banta.BarEnv
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volMa *com.Ema
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chg float64 // 变动百分比
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stability float64 // 稳定性分数
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adx float64
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rsi float64
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er float64
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price float64
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weight float64
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nexts []*orm.InfoKline
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num int
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}
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func maxChgTest() *errs.Error {
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exgId := "binance"
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tf := "1m"
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maAlpha := 0.03
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viewNextNum := 5
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tfMSecs := int64(utils2.TFToSecs(tf) * 1000)
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exsMap := orm.GetExSymbols(exgId, banexg.MarketLinear)
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exsList := make([]*orm.ExSymbol, 0, len(exsMap))
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envs := make(map[string]*chgSta)
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staList := make([]*chgSta, 0, len(exsMap))
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topStas := make([]*chgSta, 0, len(exsMap)/4)
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for _, exs := range exsMap {
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_, quote, _, _ := core.SplitSymbol(exs.Symbol)
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if quote != "USDT" {
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continue
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}
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exsList = append(exsList, exs)
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env := &chgSta{
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env: &banta.BarEnv{
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TimeFrame: tf,
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TFMSecs: tfMSecs,
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Exchange: exs.Exchange,
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MarketType: exs.Market,
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Symbol: exs.Symbol,
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MaxCache: 1000,
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},
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volMa: com.NewEMA(maAlpha),
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}
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envs[exs.Symbol] = env
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staList = append(staList, env)
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}
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barNum := 0
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barTimeMS := int64(0)
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var rows [][]string
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var head = []string{"time", "code", "chg", "weight", "price", "adx", "rsi", "er"}
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for i := 0; i < viewNextNum; i++ {
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head = append(head, "p"+strconv.Itoa(i+1))
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}
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rows = append(rows, head)
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updateWeights := func() {
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total := float64(0)
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for _, e := range envs {
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total += e.volMa.Val
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}
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if math.IsNaN(total) || total == 0 {
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return
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}
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for _, e := range envs {
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e.weight = (e.volMa.Val / total) * 100
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}
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sort.Slice(staList, func(i, j int) bool {
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return staList[i].weight > staList[j].weight
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})
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topStas = staList[:150]
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}
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checkBatch := func() {
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sort.Slice(topStas, func(i, j int) bool {
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return math.Abs(topStas[i].chg) > math.Abs(topStas[j].chg)
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})
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for i := 0; i < 3; i++ {
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e := topStas[i]
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row := []string{
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btime.ToDateStr(barTimeMS, core.DefaultDateFmt),
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e.env.Symbol,
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strconv.FormatFloat(e.chg, 'f', 2, 64),
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strconv.FormatFloat(e.weight, 'f', 2, 64),
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fmt.Sprintf("%.3e", e.price),
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strconv.FormatFloat(e.adx, 'f', 2, 64),
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strconv.FormatFloat(e.rsi, 'f', 2, 64),
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strconv.FormatFloat(e.er, 'f', 2, 64),
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}
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for j := 0; j < viewNextNum; j++ {
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rate := (e.nexts[j].Close/e.price - 1) * 100
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row = append(row, strconv.FormatFloat(rate, 'f', 2, 64))
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}
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rows = append(rows, row)
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}
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}
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totalSecs := (config.TimeRange.EndMS - config.TimeRange.StartMS) / 1000
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pbar := utils.NewPrgBar(int(totalSecs), "Run")
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defer pbar.Close()
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onBar := func(b *orm.InfoKline, nexts []*orm.InfoKline) {
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if b.Time > barTimeMS {
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if !b.IsWarmUp && barTimeMS > 0 {
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pbar.Add(int((b.Time - barTimeMS) / 1000))
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}
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barNum += 1
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barTimeMS = b.Time
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if barNum%20 == 1 {
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// 每隔20个bar，更新全局权重
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updateWeights()
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}
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if !b.IsWarmUp && barNum%5 == 0 {
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// 每隔5个bar，计算一次变化
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checkBatch()
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}
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}
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sta := envs[b.Symbol]
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sta.num += 1
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e := sta.env
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e.OnBar(b.Time, b.Open, b.High, b.Low, b.Close, b.Volume,
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b.Quote, b.BuyVolume, b.TradeNum)
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avgPrice := (b.High + b.Low + b.Close) / 3
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sta.volMa.Update(b.Volume * avgPrice)
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sta.chg = (b.Close/b.Open - 1) * 100
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sta.adx = banta.ADX(e.High, e.Low, e.Close, 3).Get(0)
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sta.rsi = banta.RSI(e.Close, 3).Get(0)
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sta.er = banta.ER(e.Close, 3).Get(0)
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if b.IsWarmUp {
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return
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}
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sta.nexts = nexts
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sta.price = b.Close
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}
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var replayErr *errs.Error
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verCh := make(chan int, 1)
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onData := func(evt *orm.DataSeries, nexts []*orm.DataSeries) {
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bar, err_ := orm.AsKline(evt)
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if err_ != nil {
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replayErr = errs.New(errs.CodeRunTime, err_)
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select {
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case verCh <- -1:
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default:
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}
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return
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}
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futureBars := make([]*orm.InfoKline, 0, len(nexts))
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for _, next := range nexts {
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futureBar, convErr := orm.AsKline(next)
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if convErr != nil {
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replayErr = errs.New(errs.CodeRunTime, convErr)
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select {
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case verCh <- -1:
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default:
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}
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return
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}
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futureBars = append(futureBars, futureBar)
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}
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onBar(bar, futureBars)
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}
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err := biz.RunHistSeries(&biz.RunHistSeriesArgs{
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ExsList: exsList,
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Start: config.TimeRange.StartMS,
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End: config.TimeRange.EndMS,
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ViewNextNum: viewNextNum,
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TfWarms: map[string]int{tf: 100},
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VerCh: verCh,
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OnData: onData,
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})
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if err == nil && replayErr != nil {
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err = replayErr
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}
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outPath := filepath.Join(config.GetDataDir(), "dump", "maxChg.csv")
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err2 := utils.WriteCsvFile(outPath, rows, false)
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if err == nil {
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err = err2
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}
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return err
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}
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